Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 4 3
Score -6.21 -4.69 -6.71
Market Cap (Millions USD) 23620.55 22657.39 23900.74
Predicted Beta 0.52 0.53 0.53
Idiosyncratic Volatility 1.49 1.72 1.72

Annualized return and volatility

XLF
Annualized Return 0.0590
Annualized Std Dev 0.2998
Annualized Sharpe (Rf=0%) 0.1970

Row

Daily Return Statistics

XLF
Observations 5112.0000
NAs 2.0000
Minimum -0.1667
Quartile 1 -0.0065
Median 0.0004
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0074
Maximum 0.3097
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0189
Skewness 1.2182
Kurtosis 27.5946

Downside Risk

XLF
Semi Deviation 0.0128
Gain Deviation 0.0161
Loss Deviation 0.0144
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.8269
Historical VaR (95%) -0.0252
Historical ES (95%) -0.0433
Modified VaR (95%) -0.0131
Modified ES (95%) -0.0131
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-06 2016-10-05 -0.8269 2396 455 1941
2001-01-04 2002-10-09 2004-01-15 -0.3664 775 448 327
2018-01-29 2018-12-24 2019-11-04 -0.2466 453 233 220
2000-01-18 2000-02-25 2000-03-23 -0.1718 47 28 19
2000-09-12 2000-10-12 2000-12-26 -0.1407 75 24 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.5 1.4 0.0 -2.2 3.3 0.0 0.7 -1.6 0.0 -0.4 -0.6 0.0 0.9
2001 0.1 0.1 0.0 0.8 -0.2 0.0 0.4 0.0 -0.3 1.6 0.0 0.0 2.7
2002 -1.2 1.4 -0.2 0.7 0.0 -2.1 -2.5 0.0 4.3 1.4 0.0 0.0 1.6
2003 0.0 0.0 2.6 0.0 0.0 1.2 -2.0 0.0 2.5 0.0 1.1 0.0 5.6
2004 0.0 0.7 1.1 0.0 -0.4 -0.7 0.0 -0.4 1.7 0.3 2.0 0.0 4.3
2005 1.1 1.0 -1.4 0.0 0.8 0.1 0.0 0.2 0.0 -0.4 0.5 0.0 2.0
2006 -0.1 0.5 0.0 -1.6 1.2 0.0 -0.3 0.1 0.0 -0.6 -0.6 0.0 -1.3
2007 0.6 -0.1 0.0 0.2 0.3 0.0 1.1 0.0 1.9 -5.1 0.0 0.0 -1.2
2008 1.9 0.0 7.0 3.4 0.0 0.3 0.0 0.0 3.9 0.0 -16.7 0.0 -2.1
2009 0.0 0.0 2.8 -0.7 1.1 -0.6 0.0 -5.4 -4.4 0.0 0.1 0.0 -7.2
2010 1.7 0.3 0.8 0.0 -2.1 -0.9 0.0 3.8 1.0 0.0 2.0 0.0 6.7
2011 2.1 -2.1 0.9 0.0 -3.3 1.8 -0.3 -2.2 0.0 -4.7 -0.5 0.0 -8.5
2012 1.6 1.1 0.0 1.0 -3.7 0.0 -0.5 0.0 0.4 1.3 0.0 0.0 1.1
2013 1.3 0.3 -0.5 -1.1 0.0 0.3 1.6 0.0 0.7 0.2 0.0 0.0 2.9
2014 0.0 0.0 0.2 0.2 0.0 0.6 -0.8 0.0 -1.2 0.0 -0.7 0.0 -1.8
2015 0.0 0.0 -0.1 0.9 0.1 1.5 0.0 -3.2 0.0 0.0 1.1 0.0 0.2
2016 -0.4 3.4 0.9 0.0 0.2 -0.5 -0.3 -0.4 0.0 -0.4 1.7 0.0 4.2
2017 0.1 2.9 0.0 0.6 1.2 0.0 0.7 0.3 0.0 0.2 0.2 0.0 6.4
2018 0.9 -1.7 0.0 0.0 1.1 0.0 0.0 0.0 0.4 0.5 0.0 0.0 1.2
2019 0.4 0.6 2.5 -0.8 0.0 1.2 -2.3 0.0 -2.1 1.5 0.0 0.2 1.1

Row

Rolling Performance Chart

Snail Trail Chart